if you can admit that it can easily go to zero then the implied will go up for the $2.5 puts which will push up the vol for the calls. Buying calls and shorting stock = buying puts thus if you are willing to pay .10 above parity for the $2.50 puts (ie IF NWAC = $1.50 AND you willing to pay $1.10 for the puts then you could easily do this by paying .10 for the calls then shorting the stock at $1.50)

As long as traders are willing to pay up for the puts (which they are) then the arbs (me) will have a bid for the calls.........

Guess you're right. The volume in the options was very small vs the stock trade, but maybe there was a few cent arb in there. I don't believe there was more than that at any time, and they were paying up for the calls, because no one was hitting them unless the stock was tanking.

Seems like a lot of work for a few cents. Did anyone just roll the dice and sell a few thousand of these sep's at 15-25 cents?